Publicación: Market and model risks: a feasible joint estimate methodology
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Fecha
2022-03-01
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Atribución-NoComercial-SinDerivadas 4.0 Internacional
info:eu-repo/semantics/openAccess
info:eu-repo/semantics/openAccess
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Springer Link
Resumen
The increasing complexity of stochastic models used to describe the behavior of asset returns along with the practical difficulty of defining suitable hedging strategies are relevant factors that compromise the soundness and quality of risk measurement models. In this paper we define the risk model as the mispricing a consequence of using an inadequate model to describe asset behavior and we develop a least-squares Monte Carlo methodology to estimate market and model risk simultaneously. The results show that at different confidence levels and time horizons the proposed methodology to estimate the market and model risks has a greater joint explanatory power than the isolated estimate of market risk.
Descripción
Categorías UNESCO
Palabras clave
Model risk, Simulation model, Stochastic process, Monte Carlo, Least-squares
Citación
Centro
Facultad de Ciencias Económicas y Empresariales
Departamento
Economía de la Empresa y Contabilidad